Mean-reverting stock model with floating interest rate in uncertain environment

DOI10.1007/s10700-016-9247-7zbMath1429.91329OpenAlexW2401930306MaRDI QIDQ1794952

Yiyao Sun, Taoyong Su

Publication date: 16 October 2018

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-016-9247-7

zbMATH Keywords

uncertainty theoryuncertain differential equationoption pricing formulasstock model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic analysis (60H99) Fuzzy ordinary differential equations (34A07)

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